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stat.ME2025
The Causal-Noncausal Tail Processes
Christian Gouriéroux, Yang Lu, Christian-Yann Robert
This paper considers one-dimensional mixed causal/noncausal autoregressive (MAR) processes with heavy tail, usually introduced to model trajectories with patterns including asymmet…
stat.ME2024
Forecasting with Markovian max-stable fields in space and time: An application to wind gust speeds
Ryan Cotsakis, Erwan Koch, Christian-Yann Robert
Hourly maxima of 3-second wind gust speeds are prominent indicators of the severity of wind storms, and accurately forecasting them is thus essential for populations, civil authori…